Introduction to time series analysis and forecasting with applications of SAS and SPSS / Robert A. Yaffee with Monnie McGee.

Format:

Book

Author/Creator:

Yaffee, Robert A.

Contributor:

McGee, Monnie.

Language:

English

Subjects (All):

Forecasting.

Social sciences--Statistical methods.

Social sciences.

Time-series analysis.

SAS (Computer file).

SPSS (Computer file).

Physical Description:

1 online resource (555 p.)

Place of Publication:

San Diego, CA : Academic Press, c2000.

Language Note:

English

Summary:

Providing a clear explanation of the fundamental theory of time series analysis and forecasting, this book couples theory with applications of two popular statistical packages--SAS and SPSS. The text examines moving average, exponential smoothing, Census X-11 deseasonalization, ARIMA, intervention, transfer function, and autoregressive error models and has brief discussions of ARCH and GARCH models. The book features treatments of forecast improvement with regression and autoregression combination models and model and forecast evaluation, along with a sample size analysis for common time serie

Contents:

Cover; Copyright Page; Contents; Preface; Chapter 1. Introduction and Overview; 1.1. Purpose; 1.2. Time Series; 1.3. Missing Data; 1.4. Sample Size; 1.5. Representativeness; 1.6. Scope of Application; 1.7. Stochastic and Deterministic Processes; 1.8. Stationarity; 1.9. Methodological Approaches; 1.10. Importance; 1.11. Notation; References; Chapter 2. Extrapolative and Decomposition Models; 2.1. Introduction; 2.2. Goodness-of-Fit Indicators; 2.3. Averaging Techniques; 2.4. Exponential Smoothing; 2.5. Decomposition Methods; 2.6. New Features of Census X-12; References

Chapter 3. Introduction to Box-Jenkins Time Series Analysis3.1. Introduction; 3.2. The Importance of Time Series Analysis Modeling; 3.3. Limitations; 3.4. Assumptions; 3.5. Time Series; 3.6. Tests for Nonstationarity; 3.7. Stabilizing the Variance; 3.8. Structural or Regime Stability; 3.9. Strict Stationarity; 3.10. Implications of Stationarity; References; Chapter 4. The Basic ARIMA Model; 4.1. Introduction to ARIMA; 4.2. Graphical Analysis of Time Series Data; 4.3. Basic Formulation of the Autoregressive Integrated Moving Average Model; 4.4. The Sample Autocorrelation Function

4.5. The Standard Error of the ACF4.6. The Bounds of Stationarity and Invertibility; 4.7. The Sample Partial Autocorrelation Function; 4.8. Bounds of Stationarity and Invertibility Reviewed; 4.9. Other Sample Autocorrelation Functions; 4.10. Tentative Identification of Characteristic Patterns of Integrated, Autoregressive, Moving Average, and ARMA Processes; References; Chapter 5. Seasonal ARIMA Models; 5.1. Cyclicity; 5.2. Seasonal Nonstationarity; 5.3. Seasonal Differencing; 5.4. Multiplicative Seasonal Models; 5.5. The Autocorrelation Structure of Seasonal ARIMA Models

5.6. Stationarity and Invertibility of Seasonal ARIMA Models5.7. A Modeling Strategy for the Seasonal ARIMA Model; 5.8. Programming Seasonal Multiplicative Box-Jenkins Models; 5.9. Alternative Methods of Modeling Seasonality; 5.10. The Question of Deterministic or Stochastic Seasonality; References; Chapter 6. Estimation and Diagnosis; 6.1. Introduction; 6.2. Estimation; 6.3. Diagnosis of the Model; References; Chapter 7. Metadiagnosis and Forecasting; 7.1. Introduction; 7.2. Metadiagnosis; 7.3. Forecasting with Box-Jenkins Models; 7.4. Characteristics of the Optimal Forecast

7.5. Basic Combination of Forecasts7.6. Forecast Evaluation; 7.7. Statistical Package Forecast Syntax; 7.8. Regression Combination of Forecasts; References; Chapter 8. Intervention Analysis; 8.1. Introduction: Event Interventions and Their Impacts; 8.2. Assumptions of the Event Intervention (Impact) Model; 8.3. Impact Analysis Theory; 8.4. Significance Tests for Impulse Response Functions; 8.5. Modeling Strategies for Impact Analysis; 8.6. Programming Impact Analysis; 8.7. Applications of Impact Analysis; 8.8. Advantages of Intervention Analysis; 8.9. Limitations of Intervention Analysis

References

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

1-281-05073-3

9786611050733

0-08-047870-0

OCLC:

181372487